Self-normalized tests for multistep conditional predictive ability
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Cites work
- A Consistent Conditional Moment Test of Functional Form
- A functional central limit theorem for strongly mixing sequences of random variables
- A functional central limit theorem for weakly dependent sequences of random variables
- A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A new self-normalized forecast comparison test
- A self-normalized approach to confidence interval construction in time series
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymptotic Inference about Predictive Ability
- CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Hypothesis testing for high-dimensional time series via self-normalization
- Inference for change points in high-dimensional data via selfnormalization
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- Simple Robust Testing of Regression Hypotheses
- Testing for change points in time series
- Testing That a Dependent Process Is Uncorrelated
- Tests of Conditional Predictive Ability
- The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
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